Can the Global Economy Activity Predict Cryptocurrency Returns

12 Pages Posted: 3 Dec 2019

See all articles by Hui-Pei Cheng

Hui-Pei Cheng

Soochow University, Taiwan

Kuang-Chieh Yen

Soochow University, Taiwan

Date Written: September 18, 2019


We investigate whether the global economic activity (GEA) index provided by Kilian (2009) can predict the dynamics of the cryptocurrency. First, we find that the lagged two-month GEA index can predict positively the cryptocurrency monthly returns, especially for Bitcoin. It implies that the investor tends to invest more in the Bitcoin when the economic condition was good two months ago. Furthermore, Bitcoin investors would decrease (increase) their investment when the decline (rise) of the S&P 500 index. In addition, we find the Bitcoin return predictability of the GEA index only exists in the one-month-ahead period.

Keywords: Bitcoin, Cryptocurrencies, Global Economic Activity Index

JEL Classification: C22, G15, D81

Suggested Citation

Cheng, Hui-Pei and Yen, Kuang-Chieh, Can the Global Economy Activity Predict Cryptocurrency Returns (September 18, 2019). Available at SSRN: or

Hui-Pei Cheng

Soochow University, Taiwan ( email )

No.56, Section 1, Kueiyang Street
Taipei, Taipei 100

Kuang-Chieh Yen (Contact Author)

Soochow University, Taiwan ( email )

56. kuei-yang St., Sec. 1
Taipei, Taiwan 10048

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